All you need to do is to upload it to your wp-content/themes folder. Usually you can just upload the zip (which is what you downloaded) and unzip it on the server through something like cPanel. However, if you have an FTP client, you can just upload the entire unzip folder.

I think I may have found the problem, but I am not sure... When I am using FileZilla, in order to connect with the server I need the username i was GIVEN (not the one I use everyday when I log into dashboard) when I first purchased my domain name... the only problem is I didn't purchase the domain name, my friend did. Do I need this user name in order to upload the theme?